Hmm, this is pretty much the same question (for me) as Day 14's question. Chivalry & Sorcery was as historical and as pseudo-historical a game as I've ever run. And the Call of Cthulhu game I'm playing in now (hi, Steve) is done in a very historical style with great attention to detail--but with Cthulhu mythos and other occult elements.
But I did recently re-subscribe to Paizo's adventure path. The new one starting this month is set in Osirion, the "not-Egypt" of Pathfinder's game world of Golarion. I've always been an ancient Egypt fanboy and so this AP is right up my alley. They're even introducing Pathfinder-ized (Golarionized?) versions of the ancient Egyptian pantheon as the ancient gods of Osirion. I'm not sure how they'll explain suddenly introducing another entire ~20 god pantheon into their game world after all this time--but I'm not sure I really care. I'd love to run a campaign set in Osirion. I'd even work in Pathfinderized versions of the AD&D Desert of Desolation modules which we enjoyed playing in college.